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Untersuchung der Renditestruktur im Markt der DM-Euroanleihen
Credit and Capital Markets – Kredit und Kapital, Vol. 28 (1995), Iss. 4 : pp. 535–568
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Markus Nöth, Mannheim
References
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Abstract
Study of the Yield Structure in the Euro Market for DM-Denominated Loans
This study examines the correlation between the rating and yield to maturity of DM-Euromarket bonds. We find that, c.p. the yield to maturity of a bond increases with a decreasing rating between 1988 and 1991. We control for DM interest rate, bond’s liquidity and time to maturity.